Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.

Have been researching correlations and how they change over time. Took soybean and soybean oil price data from 2000 - present and calculated rolling correlations for 40 days, 120 days, and 1 year. The resultant graphs are attached. The 40-day correlations are very erratic as you see and longer calculation periods smooth the results, just as with a moving average. Given the small sample size, the margin of error on the 40-day correlations is plus-minus 13%, although they are statistically significant.

I am newbie so I do not know at this point what calculation period is most useful for trading. I thought I'd share in case anyone was interested and to generate dialogue.